documentclass{standalone}
usepackage{tikz,pgfplots}
usepgfplotslibrary{patchplots}
pgfplotsset{%
    colormap={whitered}{color(0cm)=(transparent); color(1.cm)=(red)}%
}
begin{document}
begin{tikzpicture}[baseline,
    declare function={bivar(ma,sa,mb,sb)=
        1/(2*pi*sa*sb) * exp(-((x-ma)^2/sa^2 + (y-mb)^2/sb^2))/2;}]
% Outer coordinate system
begin{axis}[
    unit vector ratio*=1 1 1,
    axis lines = middle,
    view={120}{30},
    domain = -10:10,
    zmin = -5, zmax = 5,
    ]
    coordinate (origin1) at (axis cs:0,-10,0);
    coordinate (origin2) at (axis cs:0,10,0);
    addplot3[no markers,opacity=0]{0}; % <- without this pseudo plot, the outer coordinate system does not work
end{axis}
% Bivariate distribution 1
begin{axis}[
    at={(origin1)}, anchor={center},
    width=3cm, height=3cm,
    scale only axis,
    axis equal image,
    hide axis,
    colormap name=whitered,
    view={0}{90},
    enlargelimits=false,
    domain=-1.5:1.5, y domain=-1.5:1.5,
    ]
    addplot3 [surf, draw=none, samples=19, shader=interp, patch type=bilinear] {bivar(0,.1,0,.6)};
end{axis}
% Bivariate distribution 2
begin{axis}[
    at={(origin2)}, anchor={center},
    width=3cm, height=3cm,
    scale only axis,
    axis equal image,
    hide axis,
    colormap name=whitered,
    view={0}{90},
    enlargelimits=false,
    domain=-1.5:1.5, y domain=-1.5:1.5,
    ]
    addplot3 [surf, draw=none, samples=19, shader=interp, patch type=bilinear] {bivar(0,.2,0,.3)};
end{axis}
end{tikzpicture}
end{document}